GARP's Foundations of Financial Risk creates a comprehensive understanding of financial risk and the regulatory environment under which institutions operate. It focuses on core financial risks: market, credit, and operational--and how international regulation, including the Basel Accords, affect...

The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study having been conducted by an ad-hoc group composed of operators and overseers of TARGET2. The study aims to assess the resilience of the system, defined as the network of its...

In recent statements, federal bank regulators from the OCC, FDIC, the Board of Governors of the Federal Reserve and Federal Reserve Banks have called for a new approach to bank examinations. The essence of the new approach to bank examinations is what Comptroller of the Currency Eugene Ludwig...

We incorporate a notion of risk aversion favoring prudent decisions from financial institutions into regulatory capital calculation principles. In the context of Basel III, IV as well as Solvency II, regulatory capital calculation is carried out through the tools of monetary risk measures. The...

We establish a relationship between the idiosyncratic risk of portfolios and a parsimonious group of market variables. Because we are able to summarize idiosyncratic risk with this small group of variables, we are able to design stress-tests that describe portfolio-specific risks as market...

We document the impact of having a risk committee (RC) and a chief risk officer (CRO) on bank risk using the passage of the Dodd Frank Act as a natural experiment. The Act requires bank holding companies with over $10B of assets to have an RC to oversee risk management, while those with over...

Policy discussions on the recent financial crisis feature widespread calls to address the pro-cyclical effects of regulation. The main concern is that the new risk-sensitive bank capital regulation (Basel II) may amplify business cycle fluctuations. This paper compares the leading alternative...